If you need to install Microsoft Remote Desktop Connection 2 for the Mac, the disk image that comes from microsoft.com contains an mpkg installer, not an application. To use it, you have to run the installer with root privileges in order to install the simple Remote Desktop Client application, not to mention the installer also comes with Office2008_en_autoupdate, Office2008_en_errorreporting, and Office2008_en_helpviewer.

I really don't want to run the installer, I just want to install the application in the OS X way, via a simple drag and drop, and without the extra programs.

Well I found out I can Control-click on the Remote Desktop Connection.mpg, choose Show Package Contents from the pop-up menu, and navigate into the Contents » Packages folder. In that folder, Control-click on the Remote Desktop Connection.pkg file, and again choose Show Package Contents from the pop-up menu. Finally, browse into the Contents folder and copy the Archive.pax.gz file to your desktop. Double-click on that file to extract its contents, and you will get Remote Desktop Connection.app. Now just drag and drop that file to the folder where you'd like it to reside, and you're done.

Good find! I'd tried to figure out something similar since I recalled at least one RDC beta where the app was still drag and drop install, but I got distracted or gave up before digging all the way into it.

Indeed, I did this with RDC 2.
You can also do it with many other apps. I do it with many apps from semi-questionable developers - prime examples being Microsoft and Stuffit.

This is because I like to know exactly what's getting put on my machine. I don't want microsoft's autoupdate stuff installed nor running; I don't trust what it might report back to microsoft. I manually find it and delete it if it's present.

Similarly with Stuffit Expander. It also "requires" you to run the installer, but I dug into the package and grabbed the app by itself.
Stuffit make you give them an email address to download it, and I don't want them having my address, not for any reason and definitely not to spam me - so I use a throwaway address to download it. And as a result of forcing you to provide an email, I don't trust them in the slightest.

(note, naturally I also completely block outbound connection attempts from these apps as well).

So you can always check if you can install via this method, if you want to.
For apps from questionable sources that have their own custom installer where you can't use this technique, you can always use a spare sandbox machine to install it on and then copy the app over. And the sandbox "machine" can simply be a different boot device on your regular machine.